Penelope Cruz the Spanish actress arrived in Rome on Thursday to start work on The Bop Decameron, a new Woody Allen comedy."I'm really happy to be in Rome and to shoot a film with Woody Allen," said the actress who arrived with her six-month-old son, Leo, and two bodyguards.Cruz won a Best Supporting Actress Oscar for her turn as an unstable artist in the 2008 Allen film Vicky Cristina Barcelona. While filming that project, she began dating fellow Spaniard and Oscar winner Javier Bardem, and the two wed last year.Other cast members of The Bop Decameron, Allen's 42nd film, include Italian actors Roberto Benigni, Antonio Albanese and Riccardo Scamarcio and Americans Alec Baldwin and Jesse Eisenberg.